[R-SIG-Finance] Database for Historical Security Prices

[Brian G. Peterson]

On 10/25/2010 06:42 AM, Mark Breman wrote:
> Why not use R's native (binary) storage, i.e. use:
>
> load("vsmirk.Rdata")
> .... update data here...
> save(smirkresult, vsmirkdata, file="vsmirk.Rdata")

For OHLC bars, even down to 1-minute resolution, the native R binary 
format saving xts (or other) time series is sufficient. File IO and 
locking issues may be handled by the use of read-only files systems and 
file servers.

For tick data, this works, but some column database or something like 
mmap/indexing will work much better.  This allows you to only retrieve 
the data you need, rather than trying to keep it all in memory.

Regards,

    - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock